Christian Schlag

Leibniz Institute for Financial Research SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

SCHOLARLY PAPERS

46

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83

Scholarly Papers (46)

1.
Downloads 1,419 ( 13,175)
Citation 2

Volatility-of-Volatility Risk

Number of pages: 65 Posted: 19 Sep 2014 Last Revised: 19 Feb 2018
Cornell University - Department of Finance, Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison and Karlsruhe Institute of Technology
Downloads 1,197 (16,794)
Citation 1

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volatility, volatility of volatility, VIX, VVIX, options

Volatility-of-Volatility Risk

SAFE Working Paper No. 210
Number of pages: 62 Posted: 29 May 2018 Last Revised: 04 Jun 2018
Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance
Downloads 222 (141,514)
Citation 1

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volatility of volatility, hedging errors, risk premiums

2.

CAPM with Option-Implied Betas: Another Rescue Attempt

Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 18 Mar 2009
Adrian Buss, Christian Schlag and Grigory Vilkov
INSEAD - Finance, Leibniz Institute for Financial Research SAFE and Frankfurt School of Finance & Management
Downloads 1,096 (19,564)

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conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations

3.

The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options

Number of pages: 32 Posted: 10 Sep 2009 Last Revised: 02 Feb 2010
Alexandra Hansis, Christian Schlag and Grigory Vilkov
Goethe University Frankfurt - House of Finance, Leibniz Institute for Financial Research SAFE and Frankfurt School of Finance & Management
Downloads 972 (23,342)
Citation 8

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risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression

4.

Model Risk: A Conceptual Framework for Risk Measurement and Hedging

EFMA 2004 Basel Meetings Paper
Number of pages: 28 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Leibniz Institute for Financial Research SAFE
Downloads 965 (23,589)
Citation 8

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Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics

5.

Momentum-Managed Equity Factors

Number of pages: 48 Posted: 22 Jul 2019
Volker Flögel, Christian Schlag and Claudia Zunft
Quoniam Asset Management GmbH, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Department of Finance
Downloads 600 (45,455)

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factor timing, time series momentum, anomalies

6.

Elephants and the Cross-Section of Expected Returns

Number of pages: 37 Posted: 21 Nov 2017 Last Revised: 15 Mar 2019
Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Deutsche Bundesbank, Leibniz Institute for Financial Research SAFE and Karlsruhe Institute of Technology
Downloads 597 (45,754)
Citation 1

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Asset pricing, cross-section of expected returns, GMM, factor zoo

7.

Price Discovery in International Equity Trading

AFA 2002 Atlanta Meetings
Number of pages: 31 Posted: 10 May 2001
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Leibniz Institute for Financial Research SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 513 (55,491)
Citation 15

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8.

An Empirical Analysis of the Relation between Option Market Liquidity and Stock Market Activity

EFMA 2004 Basel Meetings Paper
Number of pages: 42 Posted: 28 May 2004
Iskra Kalodera and Christian Schlag
University of Frankfurt and Leibniz Institute for Financial Research SAFE
Downloads 490 (58,837)
Citation 5

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Liquidity, market activity, options markets

9.

Why is the Index Smile so Steep?

EFMA 2003 Helsinki Meetings
Number of pages: 21 Posted: 11 Oct 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Leibniz Institute for Financial Research SAFE
Downloads 480 (60,356)
Citation 9

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Option pricing, jump-diffusion, smile, implied volatility

10.
Downloads 470 ( 61,925)

The Leading Premium

Number of pages: 70 Posted: 20 Nov 2015 Last Revised: 30 Jan 2019
Finance Department, Bocconi University, BI Norwegian Business School and Leibniz Institute for Financial Research SAFE
Downloads 465 (62,097)

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The Leading Premium

NBER Working Paper No. w25633
Number of pages: 71 Posted: 12 Mar 2019
Finance Department, Bocconi University, BI Norwegian Business School and Leibniz Institute for Financial Research SAFE
Downloads 5 (662,589)
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The Leading Premium

CEPR Discussion Paper No. DP12631
Number of pages: 52 Posted: 29 Jan 2018
Finance Department, Bocconi University, BI Norwegian Business School and Leibniz Institute for Financial Research SAFE
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11.

Equilibrium Asset Pricing in Directed Networks

SAFE Working Paper No. 74, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 48 Posted: 11 Nov 2014 Last Revised: 22 Oct 2019
University of Muenster - Finance Center Muenster, BI Norwegian Business School, Deutsche Bundesbank and Leibniz Institute for Financial Research SAFE
Downloads 418 (71,448)
Citation 1

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Directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

12.

An Economic Motivation for Variance Contracts

AFA 2006 Boston Meetings Paper
Number of pages: 41 Posted: 18 Mar 2005
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Leibniz Institute for Financial Research SAFE
Downloads 398 (75,681)
Citation 5

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Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error

13.

Has There Always Been Underpricing and Long-Run Underperformance? - Ipos in Germany Before World War I

EFA 0469; Center for Financial Studies WP No. 2000/12
Number of pages: 24 Posted: 15 Jan 2001
Anja Wodrich and Christian Schlag
Center for Financial Studies (CFS) and Leibniz Institute for Financial Research SAFE
Downloads 398 (75,681)
Citation 8

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Initial Public Offerings, Underpricing, Long-Run Underperformance, Prize Stabilization, Impact of Changing Stock-Market Regulation and Institutional Setting on Underpricing

14.

Option Betas

Number of pages: 32 Posted: 22 Jun 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Leibniz Institute for Financial Research SAFE
Downloads 367 (83,117)

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asset pricing, option pricing, beta, risk management

15.

Over-Allotment Options in Ipos on Germany's Neuer Markt - an Empirical Investigation

EFMA 2004 Basel Meetings Paper; CFS Working Paper No. 2002/16
Number of pages: 33 Posted: 14 Jul 2003
Stefanie Franzke and Christian Schlag
Center for Financial Studies an der Universität Frankfurt and Leibniz Institute for Financial Research SAFE
Downloads 331 (93,471)
Citation 3

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Over-Allotment Option, Flotation Costs, Underwriter Fee, Neuer Markt

Expected Option Returns and the Structure of Jump Risk Premia

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 11 Feb 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Leibniz Institute for Financial Research SAFE
Downloads 174 (177,738)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

Expected Option Returns and the Structure of Jump Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 40 Posted: 18 Mar 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Leibniz Institute for Financial Research SAFE
Downloads 144 (209,016)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

17.

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

EFMA 2004 Basel Meetings Paper
Number of pages: 38 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Leibniz Institute for Financial Research SAFE
Downloads 317 (98,064)
Citation 17

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Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error

18.

Optimists and Pessimists in (In)Complete Markets

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, SAFE Working Paper No. 252
Number of pages: 55 Posted: 18 Nov 2013 Last Revised: 25 Jun 2019
Nicole Branger, Patrick Konermann and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School and Leibniz Institute for Financial Research SAFE
Downloads 298 (104,916)
Citation 2

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Market (in)completeness, heterogeneous beliefs, jumps in the long-run growth rate, jumps in aggregate consumption, recursive preferences

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 60 Posted: 16 Mar 2011
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 167 (184,256)
Citation 5

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Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 59 Posted: 14 Mar 2012
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University and Leibniz Institute for Financial Research SAFE
Downloads 111 (255,640)
Citation 4

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Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile

20.

Asset Pricing Under Uncertainty About Shock Propagation

SAFE Working Paper No. 34
Number of pages: 67 Posted: 28 Nov 2013 Last Revised: 25 Mar 2014
University of Muenster - Finance Center Muenster, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER), Goethe University Frankfurt, Deutsche Bundesbank and Leibniz Institute for Financial Research SAFE
Downloads 266 (118,366)

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General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility

21.

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

Number of pages: 78 Posted: 09 Dec 2016 Last Revised: 05 Jun 2019
Christian Schlag, Julian Thimme and Rüdiger Weber
Leibniz Institute for Financial Research SAFE, Karlsruhe Institute of Technology and WU Vienna
Downloads 247 (127,807)
Citation 2

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Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing

22.

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

Number of pages: 84 Posted: 02 Jun 2016 Last Revised: 18 Nov 2019
Christian Schlag, Michael Semenischev and Julian Thimme
Leibniz Institute for Financial Research SAFE, University of Muenster - Finance Center Muenster and Karlsruhe Institute of Technology
Downloads 233 (135,457)

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Asset pricing, cross-section of stock returns, predictability

23.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

EFA 2004 Maastricht Meetings Paper No. 3267
Number of pages: 46 Posted: 22 Jul 2004
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Leibniz Institute for Financial Research SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 228 (138,326)
Citation 14

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24.

Does Ambiguity about Volatility Matter Empirically?

Number of pages: 57 Posted: 11 Dec 2014 Last Revised: 10 Oct 2016
Nicole Branger, Christian Schlag and Julian Thimme
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Karlsruhe Institute of Technology
Downloads 213 (147,684)

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Ambiguity, ambiguous volatility, asset pricing, long-run risks

25.

Mean-Variance Hedging with Limited Capital - a Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 210 (149,640)

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Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire

26.

Extreme Inflation and Time-Varying Expected Consumption Growth

Number of pages: 75 Posted: 02 Sep 2016 Last Revised: 03 Apr 2019
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Australian National University (ANU), Deutsche Bundesbank and Leibniz Institute for Financial Research SAFE
Downloads 199 (158,180)

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Long-run risk, inflation, recursive utility, filtering, disaster risk

27.

Commodities, Financialization, and Heterogeneous Agents

SAFE Working Paper No. 131, BoL Working Paper No. 25/2016
Number of pages: 70 Posted: 07 Apr 2016 Last Revised: 29 Apr 2016
Nicole Branger, Patrick Grüning and Christian Schlag
University of Muenster - Finance Center Muenster, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER) and Leibniz Institute for Financial Research SAFE
Downloads 191 (163,487)

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Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 12 Feb 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 85 (305,879)
Citation 2

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Stochastic volatility, individual stocks, MCMC, volatility factors

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 20 Mar 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 73 (335,212)
Citation 2

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stochastic volatility, individual stocks, MCMC, volatility factors

29.

When are Static Superhedging Strategies Optimal?

EFMA 2004 Basel Meetings Paper
Number of pages: 34 Posted: 14 May 2004
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 140 (213,357)

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Incomplete markets, superhedging, stochastic volatility, stochastic jumps

30.

Measuring Financial Integration Via Idiosyncratic Risk: What Effects are We Really Picking Up?

Number of pages: 8 Posted: 12 Jul 2006
David C. Parsley and Christian Schlag
Vanderbilt University – Finance and Economics and Leibniz Institute for Financial Research SAFE
Downloads 139 (214,590)

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financial market integration, risk-free rate

31.

Rational Laymen Versus Over-Confident Experts: Who Survives in the Long-Run?

EFA 2006 Zurich Meetings Paper
Number of pages: 37 Posted: 14 Mar 2006
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Department of Finance
Downloads 118 (243,423)
Citation 1

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence

32.
Downloads 117 (244,943)

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 02 Mar 2007
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Department of Finance
Downloads 117 (246,070)

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 17 Dec 2007 Last Revised: 14 Oct 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Department of Finance

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

33.

Horizontal Industry Relationships and Return Predictability

SAFE Working Paper No. 256 (2019)
Number of pages: 56 Posted: 12 Aug 2019
Christian Schlag and Kailin Zeng
Leibniz Institute for Financial Research SAFE and Jiangxi University of Science and Technology
Downloads 116 (246,491)

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connected industries, information flow, return predictability

34.

Attainability of European Path-Independent Claims in Incomplete Markets

Number of pages: 17 Posted: 21 Jan 2003
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 116 (246,491)

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Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging

35.

Level and Slope of Volatility Smiles in Long-Run Risk Models

SAFE Working Paper No. 186
Number of pages: 98 Posted: 06 Nov 2017 Last Revised: 14 Dec 2017
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 108 (259,193)
Citation 1

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Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile

36.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 94 (284,665)
Citation 1

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Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

37.

'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

SAFE Working Paper No. 114
Number of pages: 69 Posted: 12 Aug 2015
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Department of Finance
Downloads 91 (290,582)
Citation 1

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence

38.

Fuel is Pumping Premiums: A Consumption-Based Explanation of the Value Anomaly

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 60 Posted: 30 Nov 2018 Last Revised: 01 Oct 2019
Robert F. Dittmar, Christian Schlag and Julian Thimme
University of Michigan, Stephen M. Ross School of Business, Leibniz Institute for Financial Research SAFE and Karlsruhe Institute of Technology
Downloads 84 (305,433)
Citation 1

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asset pricing, consumption, cross-section of stock returns, utility functions

39.

Temperature Shocks and Welfare Costs

SAFE Working Paper No. 177
Number of pages: 49 Posted: 07 Aug 2017
Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE and Leibniz Institute for Financial Research SAFE
Downloads 76 (324,096)
Citation 2

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Temperature shocks, long-run growth, asset prices, welfare costs, adaptation

40.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012)
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
Nicole Branger, Christian Schlag, Eva Schneider and Norman Seeger
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt - Department of Finance and VU University Amsterdam
Downloads 68 (344,846)
Citation 1

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Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge

41.

Temperature Volatility Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 05/WP/2019
Number of pages: 53 Posted: 14 Feb 2019 Last Revised: 05 Mar 2019
Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE, Ca Foscari University of Venice - Dipartimento di Economia and Leibniz Institute for Financial Research SAFE
Downloads 65 (353,087)
Citation 2

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temperature volatility, TFP, asset prices, and welfare costs

42.

Discussion of 'Bounded Rationality, Rights Offerings, and Optimal Subscription Prices'

Schmalenbach Business Review, Vol. 60, July 2008
Number of pages: 3 Posted: 12 Oct 2008
Christian Schlag
Leibniz Institute for Financial Research SAFE
Downloads 38 (445,894)

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Bounded Rationality, Cultural Corporate Finance, Loss Aversion, Mental Accounting, Rights Issues, Signalling

43.

The Collateralizability Premium

SAFE Working Paper No. 264 (2019)
Number of pages: 88 Posted: 25 Oct 2019
Hengjie Ai, Jun E. Li, Kai Li and Christian Schlag
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Leibniz Institute for Financial Research SAFE
Downloads 32 (472,192)
Citation 3

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

44.

Equilibrium Asset Pricing in Directed Networks

Deutsche Bundesbank Discussion Paper No. 37/2018
Number of pages: 47 Posted: 26 Sep 2018 Last Revised: 21 Feb 2019
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, BI Norwegian Business School and Leibniz Institute for Financial Research SAFE
Downloads 22 (526,034)

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directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

45.

Extreme Inflation and Time-Varying Consumption Growth

Deutsche Bundesbank Discussion Paper No. 16/2019
Number of pages: 57 Posted: 16 Apr 2019
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Australian National University (ANU), Deutsche Bundesbank and Leibniz Institute for Financial Research SAFE
Downloads 5 (634,248)

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long-run risk, inflation, recursive utility, filtering, disaster risk

46.

Expiration Day Effects of Stock Index Derivatives in Germany

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996
Posted: 27 Oct 1999
Christian Schlag
Leibniz Institute for Financial Research SAFE

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Other Papers (1)

Total Downloads: 150
1.

Pricing Two Trees When Trees and Investors are Heterogeneous

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 01 Mar 2007 Last Revised: 26 Mar 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt - Department of Finance
Downloads 150

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Asset Pricing, Two-Tree Economy, Asymmetric Information, Learning, Long-Run Survival